Regime Fit Score

Methodology · Portfolio shape against the market, 0 to 100

One number, 0 to 100, measuring how closely a portfolio’s shape matches the shape the current market regime has historically rewarded. It is the sum of four components: beta alignment (30 points), liquidity buffer (20), narrative momentum (30) and concentration discipline (20). It compares your portfolio to a historical pattern. It does not forecast, and it does not instruct.

The question it answers

Is this portfolio in the right shape for this market, or not? The answer is descriptive. The score tells you how the portfolio compares to the shape that has tended to do well in the current regime. What to do about that is your decision.

The distinction matters legally as well as practically. CryptoArrow operates as a publisher of impersonal commentary, so the score is impersonal by construction: the same regime plus the same portfolio shape produces the same score for every reader.

Inputs

The score is a pure function of:

  • The detected market regime label.
  • Momentum scores, 0 to 100, for each of the ten tracked sectors.
  • The portfolio’s percentage allocation to each sector.
  • Per-holding symbol, weight and value.
  • The Herfindahl concentration of the portfolio weights.
  • The stablecoin share of the portfolio.
  • A weighted 30-day volatility estimate.

With no holdings entered, the score is not computed at all rather than guessed.

The four components

1. Beta alignment · up to 30 points

The portfolio’s weighted-average beta to Bitcoin is compared to the range that suits the current regime. Per-symbol betas: stablecoins 0, BTC 1.0 as the reference, ETH 1.15, large alts such as SOL, AVAX, ADA and BNB 1.1, and all other tokens 1.4 by default. Inside the regime’s range scores full marks. Outside it, the component decays linearly to zero across a tolerance window.

2. Liquidity buffer · up to 20 points

The stablecoin share of the portfolio, compared to the range that suits the regime. Same scoring shape as beta: full marks inside the range, linear decay outside it.

3. Narrative momentum · up to 30 points

For every sector held at 1% or more, the contribution is the sector exposure multiplied by how far that sector’s momentum sits from neutral, multiplied by a regime weight that rewards rising sectors and penalises cooling ones. The contributions are summed, clamped, and mapped onto the 0 to 30 range, so a net-neutral portfolio scores 15. Positions under 1% are excluded, so a sprinkle of a token cannot move the score.

4. Concentration discipline · up to 20 points

The Herfindahl-Hirschman index of the portfolio weights against the regime’s tolerance. Below the threshold scores full marks, above it decays linearly to zero at twice the tolerance. For scale, an HHI of 10,000 is a single-asset portfolio and roughly 1,000 is an even spread across ten holdings.

The five regimes

Each regime carries its own target ranges for beta and liquidity, its own concentration tolerance, and its own weighting of rising against cooling sectors. The reasoning behind each:

  • Early Recovery. Markets have just stopped falling. The historically rewarded shape is modest beta with a small buffer. Too much beta gets caught in false starts, too much cash misses the early move, and a real buffer is still warranted because the regime can revert.
  • Markup. A confirmed broad uptrend. The rewarded shape is higher beta with lean cash. Cash drags. Cooling sectors are still penalised, but lightly, because broad rises lift most boats.
  • Distribution. Topping signals, narrowing breadth, leadership rotating. The rewarded shape is defensive beta, a meaningful buffer and lower concentration. This is the regime where chasing momentum punishes hardest.
  • Markdown. A confirmed broad downtrend. The rewarded shape is capital preservation: a large stablecoin buffer and low beta. Rising sectors earn no reward here, and cooling sectors are penalised most heavily.
  • Unclear. Mixed signals. The rewarded shape is balanced exposure with patience, where modest dry powder creates flexibility once a regime resolves.

These profiles are heuristics drawn from how each regime has historically rewarded portfolio shape. They are not fitted to a specific asset universe, and they get revisited as more data accumulates.

Status bands

  • 75 to 100 · Aligned
  • 45 to 74 · Drifting
  • 0 to 44 · Conflict

The bands are deliberately asymmetric. Only the cleanest portfolios land in Aligned, Conflict is reserved for portfolios meaningfully out of step with the regime, and Drifting is the most common state.

What the score does not do

  • It does not recommend buying or selling any token.
  • It does not cover holdings that were never entered.
  • It does not consider tax, fees, slippage or custody risk.
  • It does not predict the future price of anything.
  • It is not personalised to anyone’s risk tolerance, time horizon or financial situation.

Known limitations

  • Beta is a lookup by asset class, not a rolling regression, so it does not update with market conditions.
  • Sector definitions overlap. A token classified in two sectors contributes to both, which slightly double-counts its momentum.
  • The concentration index does not account for correlation. Two assets that move together lower the index by appearing separate while contributing the same risk. The same-bet check in the Health Score is the measure that catches this.
  • Each regime’s target profile is a heuristic and has not yet been backtested against synthetic portfolios across historical regimes.
  • The score reflects daily portfolio state, not intraday movement.

Mechanical analysis. Not investment advice. See the Terms of Service.